Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0628 |
| Annualized Std Dev | 0.1678 |
| Annualized Sharpe (Rf=0%) | 0.3743 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3565.0000 |
| NAs | 1.0000 |
| Minimum | -0.1042 |
| Quartile 1 | -0.0037 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0050 |
| Maximum | 0.1081 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0106 |
| Skewness | -0.2596 |
| Kurtosis | 17.3169 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0078 |
| Gain Deviation | 0.0075 |
| Loss Deviation | 0.0090 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0077 |
| Downside Deviation (0%) | 0.0077 |
| Maximum Drawdown | 0.5020 |
| Historical VaR (95%) | -0.0151 |
| Historical ES (95%) | -0.0264 |
| Modified VaR (95%) | -0.0142 |
| Modified ES (95%) | -0.0142 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-04 | 2009-03-09 | 2012-03-13 | -0.5020 | 1183 | 442 | 741 |
| 2020-02-18 | 2020-03-23 | 2020-12-08 | -0.3653 | 206 | 25 | 181 |
| 2015-04-27 | 2016-01-20 | 2016-07-22 | -0.1835 | 314 | 186 | 128 |
| 2018-09-24 | 2018-12-24 | 2019-04-02 | -0.1727 | 131 | 64 | 67 |
| 2018-01-29 | 2018-02-08 | 2018-08-27 | -0.0949 | 147 | 9 | 138 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 | -0.2 |
| 2007 | 0.5 | -0.3 | 0.1 | -0.2 | 0.4 | -0.1 | 0.5 | 1 | 1 | -1.9 | 1.1 | -0.3 | 1.7 |
| 2008 | 1.8 | -2.7 | 1.8 | 0.4 | 1 | -0.5 | -1.1 | -0.6 | 0.1 | 2.3 | -4.3 | 2.7 | 0.7 |
| 2009 | -2.3 | -2.8 | 0.4 | 0.8 | 2.6 | -0.9 | 0 | -1 | -0.8 | -1.3 | 1.4 | -0.8 | -4.8 |
| 2010 | 0.5 | 0.7 | 0.5 | -0.1 | -1.1 | -1.1 | -0.3 | 1.8 | 0.5 | 0.1 | 1 | -0.3 | 2.2 |
| 2011 | 0.7 | -0.8 | 0.3 | 0 | -1.5 | 0.9 | -0.5 | -0.8 | -0.2 | -2.4 | 0 | -0.1 | -4.3 |
| 2012 | 0.6 | 0.3 | 0.5 | 0.2 | -1.8 | 1.5 | -0.2 | 0.3 | 0 | 0.3 | 0.4 | 1.1 | 3.2 |
| 2013 | 0.4 | 0.3 | -0.3 | -0.6 | -1.3 | 0.4 | 1.2 | -0.4 | 0.8 | 0.2 | 0 | 0.1 | 0.8 |
| 2014 | -0.2 | 0.6 | 0.2 | 0.1 | 0.1 | 0.2 | -0.1 | 0.5 | -0.7 | 0.8 | -0.3 | -1.1 | 0.1 |
| 2015 | -1.6 | 0.1 | 0.3 | 0.6 | -0.1 | 0.5 | 0.6 | -2.6 | 0.1 | 0 | 0.5 | -0.5 | -2.3 |
| 2016 | 0.8 | 0.8 | -0.2 | -0.1 | -0.2 | 0.2 | -0.1 | 0 | 0.1 | -1 | -0.6 | -0.6 | -0.8 |
| 2017 | -0.5 | 1.1 | 0.1 | 0.1 | 0.6 | 0.7 | 0.3 | 0 | 0.3 | 0.1 | -0.3 | -0.1 | 2.4 |
| 2018 | -0.3 | -1.2 | 1 | -0.8 | 0.8 | 0 | -0.3 | 0.4 | 0.2 | 0.6 | 0.5 | 1.1 | 2 |
| 2019 | -0.1 | 0.7 | 0.9 | -1 | -0.6 | 0.8 | -0.7 | 0.2 | -1.1 | 0.4 | -0.4 | 0.2 | -0.8 |
| 2020 | -1.1 | -2.2 | -5.1 | -1.9 | 0 | 0.2 | 0.5 | -0.2 | 0 | -1.5 | 0.8 | 0.9 | -9.4 |
| 2021 | 1 | 1.7 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-12-15 25.1 SPY 142. 1.00e-4 0.0121 0.0222 0.0832 0.123 0.323 0.265 GLD 61 -0.018 -0.0169
2 2006-12-18 25.1 SPY 142. -2.70e-3 0.0008 0.0112 0.0769 0.123 0.308 0.242 GLD 61.0 0.0007 -0.0245
3 2006-12-19 25.0 SPY 142. 1.90e-3 0.0035 0.0128 0.0733 0.131 0.296 0.237 GLD 61.8 0.0125 -0.0115
4 2006-12-20 25.1 SPY 142. -6.00e-4 0.0019 0.0117 0.0779 0.130 0.305 0.228 GLD 61.6 -0.00290 -0.0138
5 2006-12-21 25.0 SPY 142. -3.70e-3 -0.0105 0.007 0.0772 0.124 0.291 0.235 GLD 61.4 -0.0039 -0.0119
6 2006-12-22 24.9 SPY 141. -6.10e-3 -0.0112 -0.00120 0.0624 0.111 0.283 0.224 GLD 61.6 0.0044 0.0107
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
